MAE/MFE not consolidated in Portfolio
Let me explain what I did and the results so will be easy to understand the bug
1. I uploaded 5 strategies separately;
2. I calculated MAE/MFE using historical data (WIN.csv attached).3. The result was every strategy with your MAE/MFE. Until now perfect!
4. I created a portfolio including these 5 strategies to consolidate results.
MAE/MFE from 5 together but doesn't work! After creating a portfolio, even merging strategies, MAE/MFE remains separated for every strategy. I should get a consolidated result with MAE/MFE from all strategies calculated together, even in daily basis report.
Attached Im sending the HTML from 5 strategies, csv for historical data MAE/MFE calculating
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Votes +15
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Project QuantAnalyzer
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Type Bug
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Status New
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Priority Low
History
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Primebot
25.04.2021 23:35This is very useful and should be a priority to have in the tool. Any portfolio of automated strategies must have this type of daily study with MAE and MFE, to define risk management or even the daily goal of an automated portfolio.It would also be very interesting if the quant could also analyze MAE / MFE also weekly and monthly in addition to the joint operations diary.
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Votes: +15
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